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Statistical aspects of the fractional stochastic calculus. (English) Zbl 1194.62097
Summary: We apply the techniques of stochastic integration with respect to fractional Brownian motion and the theory of regularity and supremum estimation for stochastic processes to study the maximum likelihood estimator (MLE) for the drift parameter of stochastic processes satisfying stochastic equations driven by a fractional Brownian motion with any level of Hölder-regularity (any Hurst parameter). We prove existence and strong consistency of the MLE for linear and nonlinear equations. We also prove that a version of the MLE using only discrete observations is still a strongly consistent estimator.
MSC:
62M05Markov processes: estimation
62M09Non-Markovian processes: estimation
62H05Characterization and structure theory (Multivariate analysis)
60H30Applications of stochastic analysis
60H10Stochastic ordinary differential equations